Global correlation and uncertainty accounting
For a high dimensional field of random variables, global correlation is defined as the ratio of average covariance and average variance, and its elementary properties are studied. Global correlation is used to harmonize uncertainty assessments at global and local scales. It can be estimated by the c...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2016-09-01
|
| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2016-0009 |